Journal article
A note on transfer function model specification with noisy closed-loop input data
Applied stochastic models in business and industry, Vol.26(4), pp.473-480
07/01/2010
DOI: 10.1002/asmb.821
Abstract
We assume that the input in a transfer function noise model is determined by a proportional-integral-derivative controller that is subject to noise. We show how such a noisy feedback in the input series affects the standard Box-Jenkins method of specifying the transfer function model. Our findings have important implications for the analyst who uses the traditional Box-Jenkins approach. The analyst will be led to estimate an incorrect transfer function model if feedback (exact or noisy) is present. Copyright (C) 2009 John Wiley & Sons, Ltd.
Details
- Title: Subtitle
- A note on transfer function model specification with noisy closed-loop input data
- Creators
- Johannes Ledolter - Univ Iowa, Dept Management Sci, Tippie Coll Business, Iowa City, IA 52242 USA
- Resource Type
- Journal article
- Publication Details
- Applied stochastic models in business and industry, Vol.26(4), pp.473-480
- Publisher
- Wiley
- DOI
- 10.1002/asmb.821
- ISSN
- 1524-1904
- eISSN
- 1526-4025
- Number of pages
- 8
- Language
- English
- Date published
- 07/01/2010
- Academic Unit
- Statistics and Actuarial Science; Business Analytics
- Record Identifier
- 9984380457102771
Metrics
2 Record Views